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Did Output Recover From the Asian Crisis?

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  • Valerie Cerra
  • Sweta Chaman Saxena

Abstract

This paper investigates the extent to which output has recovered from the Asian crisis. A regime-switching approach that introduces two state variables is used to decompose recessions in a set of six Asian countries into permanent and transitory components. While growth recovered fairly quickly after the crisis, there is evidence of permanent losses in the levels of output in all of the countries studied.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 03/48.

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Length: 26
Date of creation: 01 Mar 2003
Date of revision:
Handle: RePEc:imf:imfwpa:03/48

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Keywords: Asia; Production; Hong Kong SAR; recessions; asian crisis; recession; probability; probabilities; financial crisis; statistics; equation; forecasting; asian financial crisis; standard errors; econometrics; banking crises; univariate analysis; pre-crisis; time series; statistical significance; contagion; time series analysis; currency crisis; financial crises; prudential regulation; statistic; covariance; banking crisis; sampling; linear models; crisis recovery; probability model; significance level; debt crisis; nonlinear models; simultaneous equation;

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References

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  1. Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1465, Econometric Society.
  2. Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers, Harvard - J.F. Kennedy School of Government 178d, Harvard - J.F. Kennedy School of Government.
  3. James H. Stock & Mark W. Watson, 1992. "A Procedure for Predicting Recessions With Leading Indicators: Econometric Issues and Recent Experience," NBER Working Papers 4014, National Bureau of Economic Research, Inc.
  4. Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 1998. "What Caused the Asian Currency and Financial Crisis? Part I: A Macroeconomic Overview," NBER Working Papers 6833, National Bureau of Economic Research, Inc.
  5. Garcia, Rene, 1998. "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 763-88, August.
  6. Kalpana Kochhar & Prakash Loungani & Mark R. Stone, 1998. "The East Asian Crisis," IMF Working Papers 98/128, International Monetary Fund.
  7. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, Elsevier, vol. 60(1-2), pages 1-22.
  8. Andrew Berg, 1999. "The Asia Crisis," IMF Working Papers 99/138, International Monetary Fund.
  9. Cerra, Valerie & Saxena, Sweta Chaman, 2002. "Contagion, Monsoons, and Domestic Turmoil in Indonesia's Currency Crisis," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 10(1), pages 36-44, February.
  10. Filardo, Andrew J, 1994. "Business-Cycle Phases and Their Transitional Dynamics," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(3), pages 299-308, July.
  11. Steven Radelet & Jeffrey Sachs, 1998. "The Onset of the East Asian Financial Crisis," NBER Working Papers 6680, National Bureau of Economic Research, Inc.
  12. Wesley Clair Mitchell, 1927. "Business Cycles: The Problem and Its Setting," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number mitc27-1.
  13. Robert J. Barro, 2001. "Economic Growth in East Asia Before and After the Financial Crisis," NBER Working Papers 8330, National Bureau of Economic Research, Inc.
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